Effect of liquidity creation on capital: Capital states may matter
學年 109
學期 2
發表日期 2021-05-21
作品名稱 Effect of liquidity creation on capital: Capital states may matter
作品名稱（其他語言）
著者 Meng-Wen Wu; Kuo-Jui Huang; Chung-Hua Shen
作品所屬單位
出版者
會議名稱 2021臺灣財務金融學會年會暨國際研討會
會議地點 桃園市，台灣
摘要 Capital and liquidity are critical factors for the soundness of banks; thus, they are regulated in Basel III and their relationship has been discussed in literature. But the extant studies do not obtain the expected results in the link from liquidity creation to capital. This study argues that different capital states affect the effect of liquidity creation on capital. We combine capital adequacy ratio (CAR) and leverage ratio (LR) to define a sufficient-capital bank when it is well-capitalized in both capital ratios, and define two types of deficient-capital banks when they are not well-capitalized in either CAR or LR. We propose illiquidity risk effect and buffer cost effect. We find a negative relationship in sufficient-capital banks that the banks decrease their capital after conducting excessive liquidity creation, which support the buffer cost effect, but a positive relationship in deficient-capital banks that the banks increase their capital after conducting excessive liquidity creation, supporting the illiquidity risk effect. We further investigate the components in the changes of capital ratios and find that sufficient-capital banks raise Tier 1 capital, whereas deficient-capital banks raise Tier 2 capital. Our study confirms that capital states play an important role in the relationship between liquidity creation and capital.
關鍵字 Capital states;Excessive liquidity creation;Illiquidity risk;Buffer cost
語言 en_US
收錄於
會議性質 國內
校內研討會地點 無
研討會時間 20210521~20210522
通訊作者 Kuo-Jui Huang
國別 TWN
公開徵稿
出版型式
出處
相關連結

機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/123690 )